Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0476
Annualized Std Dev 0.2849
Annualized Sharpe (Rf=0%) 0.1671

Row

Daily Return Statistics

Close
Observations 4034.0000
NAs 1.0000
Minimum -0.1534
Quartile 1 -0.0077
Median 0.0010
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0086
Maximum 0.2028
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0179
Skewness 0.3177
Kurtosis 14.0370

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0133
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.6828
Historical VaR (95%) -0.0261
Historical ES (95%) -0.0425
Modified VaR (95%) -0.0224
Modified ES (95%) -0.0224
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 NA -0.6828 3369 267 NA
2006-05-10 2006-06-13 2006-12-04 -0.2599 145 24 121
2007-07-24 2007-08-16 2007-09-21 -0.1805 43 18 25
2007-02-23 2007-03-05 2007-04-03 -0.1161 28 7 21
2005-10-03 2005-10-20 2005-11-18 -0.1100 35 14 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA 0.1 1.9 0.5 0.9 1.2 1 0.1 0.7 2.2 -0.1 8.8
2006 0.3 2.1 0.1 0.3 2 0.3 -1.7 1.4 -0.5 -0.1 -0.7 -0.1 3.3
2007 1 -1.1 -0.3 0.7 2.3 0.1 -1.6 3.1 3.8 -3.5 0 -1.1 3.3
2008 2.4 -3.2 2.9 1.4 -0.2 -2.8 -0.2 -1.1 -1.3 0.1 -8.9 -0.1 -10.7
2009 -1.3 1.8 3.7 1.8 3.9 2.1 0.6 -1.6 -2.5 -4.4 2.5 0.3 6.7
2010 2.9 1.7 2.4 -1.3 -1.8 0.6 0.3 3.3 1.6 1 3 0.6 15.2
2011 2.2 -1 1.6 0.7 -1.4 1.2 -0.1 -0.5 -5.3 -2.2 -0.2 0.1 -5
2012 2.3 1 1 0.7 -2.5 4.2 0.3 0.8 1.1 1.4 -0.2 1.5 12.3
2013 0.7 0.1 -0.9 -1 -1.9 0.2 1.8 0.8 2 0 0.8 0.8 3.3
2014 0 -0.8 1 0.1 -1.3 0.9 0.6 -0.1 -1.9 0.8 -1.8 0 -2.6
2015 -2.7 0.1 1.3 0.6 -0.1 0 0.8 -3.9 0.3 -0.1 0.6 0 -3.1
2016 -1 3.6 0.3 -0.2 -0.1 0.7 -0.4 0.5 0.7 -0.7 -1.1 -0.5 1.8
2017 0.2 1.6 -0.7 0.4 0.7 0.8 0.4 0.7 1 0.2 -1 0.5 5
2018 -0.9 0 1.8 -0.6 1.1 1.6 -0.8 0.7 0.2 3.6 -0.1 -0.2 6.6
2019 -0.7 0.1 1.5 -0.6 0.4 1.4 -1.8 0.6 -0.7 1.6 -1.2 0.2 0.8
2020 -1.8 -0.3 -3.5 -3.3 2.3 1.3 -0.6 2 0.9 -1 2.1 -0.3 -2.4
2021 2.5 2.7 1 NA NA NA NA NA NA NA NA NA 6.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-10  25.1 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341   -0.141 GLD    44.2  0.0041   0.0286
2 2005-03-11  25.0 SPY    120. -0.007   -0.0191   0.0091   0.0099   0.0834   0.0275   -0.139 GLD    44.4  0.0052   0.0242
3 2005-03-14  24.9 SPY    121.  0.0062  -0.0134   0.0117   0.0152   0.076    0.044    -0.116 GLD    44.0 -0.009    0.0129
4 2005-03-15  24.4 SPY    120. -0.0083  -0.0179  -0.0052  -0.0019   0.0804   0.0368   -0.122 GLD    44.1  0.0007   0.0007
5 2005-03-16  24.2 SPY    119. -0.0085  -0.0153  -0.0129  -0.0138   0.0656   0.0212   -0.154 GLD    44.3  0.0057   0.0066
6 2005-03-17  24.3 SPY    119.  0.002   -0.0155  -0.0146  -0.0126   0.0559   0.0231   -0.149 GLD    43.8 -0.0111  -0.0086
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart